Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0034
Annualized Std Dev 0.1589
Annualized Sharpe (Rf=0%) -0.0212

Row

Daily Return Statistics

Close
Observations 5457.0000
NAs 1.0000
Minimum -0.0978
Quartile 1 -0.0044
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0046
Maximum 0.1619
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0100
Skewness 1.0262
Kurtosis 29.9197

Downside Risk

Close
Semi Deviation 0.0069
Gain Deviation 0.0081
Loss Deviation 0.0075
Downside Deviation (MAR=210%) 0.0121
Downside Deviation (Rf=0%) 0.0069
Downside Deviation (0%) 0.0069
Maximum Drawdown 0.4407
Historical VaR (95%) -0.0142
Historical ES (95%) -0.0224
Modified VaR (95%) -0.0073
Modified ES (95%) -0.0073
From Trough To Depth Length To Trough Recovery
2006-03-21 2009-03-09 NA -0.4407 3719 718 NA
1999-01-08 2000-03-15 2001-07-27 -0.2033 602 276 326
2004-03-10 2004-05-10 2004-10-29 -0.1614 160 41 119
2003-06-10 2003-08-01 2004-03-09 -0.1239 189 38 151
2001-09-07 2002-03-19 2002-06-04 -0.0924 175 125 50

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.4 0 -0.8 0 0 0 0.4 0.5 0 1 0 0.5 2
2000 1 -1 1.5 0 0 0.5 -0.5 0 0 -2.9 0 0.5 -0.9
2001 -1.2 0 1.7 0.1 0.6 0.4 -0.7 0.5 0.3 0.1 -0.8 1 2.1
2002 -0.5 0.3 0.3 0.1 -0.5 0.3 0 0.9 0.3 -0.1 0.9 0 2.2
2003 0.2 0.6 -0.2 -0.1 0.5 0.8 -0.3 0.5 1 -0.3 -0.1 -0.3 2.3
2004 -0.1 -0.1 -0.1 1.7 1.5 -0.8 3 -0.4 -1.1 -0.5 -0.6 0.1 2.7
2005 -0.5 0.9 -0.2 -1 -0.3 -1.4 -1.3 -0.1 1.3 -0.6 -0.4 -0.3 -3.7
2006 -0.8 -0.5 1.5 0.7 1 1.9 -0.7 0 0 0.7 0.3 0.4 4.4
2007 0 -0.2 0.2 1.9 0.3 1 -0.3 0 1.9 -3.2 2.1 -0.1 3.5
2008 0.8 1 0.5 0.4 0.4 2 -2.7 0.5 -1.4 2.2 0.9 3.9 8.7
2009 -0.2 1.8 2.4 -0.4 -1.2 -0.2 0.4 0 -0.1 -0.3 1.2 0.2 3.7
2010 0.7 -0.5 -0.9 -0.1 0 -1 0.3 -0.2 -0.9 0.2 -0.1 1.9 -0.7
2011 0 -0.3 0.4 0.3 0.7 0 0.1 0.3 1.1 0.5 0.4 -0.7 2.9
2012 0.6 -0.5 0.7 0.8 -0.6 0 1 -0.3 0.3 0.8 -0.2 0.1 2.7
2013 -0.6 0.7 -0.5 0.1 -1.9 -0.2 0.5 -0.7 -0.1 -1.4 0.7 -2.6 -5.9
2014 0.1 0.5 -0.6 0.6 -0.2 0.1 0 -0.2 -1.3 -0.6 0.4 0.7 -0.6
2015 1.4 0.5 0.9 -0.2 -0.1 -0.7 0.3 0.5 -0.4 0.6 1.5 0.3 4.7
2016 0.6 0.3 0.3 -1.7 -0.1 0.6 0.1 -0.2 -0.7 -0.7 -0.9 0 -2.4
2017 0 -0.3 -0.2 -1.6 -0.8 0.5 1.5 -1.3 -0.2 1.2 0 0.1 -1.2
2018 -0.7 -0.4 0.5 1.2 0 0.3 -0.1 3.4 0.4 0.1 0.9 -1.1 4.5
2019 -0.1 0.6 0 0.3 0.3 -0.3 0.4 0.3 0.7 1.9 0.6 0.7 5.4
2020 0.7 -0.7 0.1 0.2 0.7 -0.2 1.2 0.2 -0.3 0.4 -0.1 0 2
2021 -0.3 0.9 0 NA NA NA NA NA NA NA NA NA 0.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  15.1 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  14.9 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  14.9 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  15.1 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  14.9 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  14.8 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart